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SUMMARY:Optimal Skorokhod embeddings with applications to pricing and hedg
 ing of double barrier options - Jan Obloj (Imperial)
DTSTART:20080129T140000Z
DTEND:20080129T150000Z
UID:TALK10298@talks.cam.ac.uk
CONTACT:Norros I.
DESCRIPTION:Let B be a Brownian motion and let S and I be its running maxi
 mum and minimum processes respectively. Fix a distribution m and positive 
 and negative thresholds U and L. We consider the problem of maximising the
  probability that S(T) exceeds U and I(T) is less than L\, over all stoppi
 ng times T such that B(T) has distribution m and such that the process B s
 topped at T is UI. We describe explicitly both the bound and the stopping 
 time which achieves it. We do the same for the minimisation problem. This 
 implies model-free bounds on prices of certain financial derivatives (doub
 le barrier one-touch options). Furthermore\, similarly to Brown\, Hobson a
 nd Rogers (2001)\, in deriving our bounds we construct pathwise inequaliti
 es which induce model-free super-hedging (or sub-hedging) strategies for t
 hose financial derivatives.
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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